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Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

Chen, Hui - 2009

I build a dynamic capital structure model that demonstrates how business-cycle variations in expected growth rates, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise...

Persistent link: https://www.econbiz.de/10013155971

Bank dividends, real GDP growth and default risk

Kanas, Angelos - In: International journal of finance & economics : IJFE 19 (2014) 3, pp. 212-224

Persistent link: https://www.econbiz.de/10010471951

What's Gone Wrong with Option Liquidity : Evidence from the Knight Capital's Trading Glitch

Kapadia, Nikunj - 2020

Since the early 2000s liquidity in option markets has become less resilient, and our evidence suggests that it is so … because of an increased vulnerability to liquidity shocks in the underlying. To demonstrate the causal impact, we consider an … increased uninformed order flow resulting in liquidity-related uncertainty in the equity market. Option spreads of impacted …

Persistent link: https://www.econbiz.de/10012844386

Firm Growth Potential and Option Returns

Andreou, Panayiotis C.; Bali, Turan G.; Kagkadis, Anastasios - 2021

This paper shows that firm growth potential – representing a firm's yet-unexercised growth opportunities – is associated with option overpricing and low future delta-hedged option returns. We provide an explanation of this phenomenon based on the idea that retail investors exert buying...

Persistent link: https://www.econbiz.de/10013219539

Recovery and reduction of non-performing loans : Podgorica approach

Stijepović, Ristan - In: Journal of central banking theory and practice 3 (2014) 3, pp. 101-118

Persistent link: https://www.econbiz.de/10010415940

Does systematic distress risk drive the investment growth anomaly?

Su, Xuan-Qi - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 240-248

Persistent link: https://www.econbiz.de/10011627535

Inflation risk and the finance-growth nexus

Corhay, Alexandre; Tong, Jincheng - 2021

This paper shows that the effect of inflation on asset prices and real aggregates depends on the financial intermediation sector. When firms finance using nominal long-term debt issued by financial intermediaries, unexpected changes in inflation lead to a wealth transfer across sectors. Higher...

Persistent link: https://www.econbiz.de/10012595351